Knock‐in American options
研究了敲入式美式期权的定价问题，在Black-Scholes框架下给出了解析定价公式，并根据触发价格与临界价格的关系区分不同表达式，最后通过数值算例验证了公式的有效性。
Abstract A knock‐in American option under a trigger clause is an option contract in which the option holder receives an American option conditional on the underlying stock price breaching a certain trigger level (also called barrier level). We present analytic valuation formulas for knock‐in American options under the Black‐Scholes pricing framework. The price formulas possess different analytic representations, depending on the relation between the trigger stock price level and the critical stock price of the underlying American option. We also performed numerical valuation of several knock‐in American options to illustrate the efficacy of the price formulas. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:179–192, 2004